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Essays on bond exchange-traded funds
Title
Essays on bond exchange-traded funds.
Creator
Evans, Charles W., College of Business, Department of Finance
Abstract/Description
This dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the effectiveness of the arbitrage mechanism of bond ETFs. Methodologically, to answer the first question I focus on a time-series analysis. The second question involves the degree to which average returns of bond...
Show moreThis dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the effectiveness of the arbitrage mechanism of bond ETFs. Methodologically, to answer the first question I focus on a time-series analysis. The second question involves the degree to which average returns of bond ETF shares respond to changes in factors that have been found to drive average returns of bond portfolios. To answer this question I shift the focus of the analysis to a cross-section asset pricing test. In other words, do bond ETF share prices track the value of their underlying assets, and are they priced by investors like bonds in the cross-section? The first essay concludes that bond ETF shares exhibit mean-reversion asymmetries when price and NAV diverge, along persistent small premiums. These premiums appear to reflect the added value that bond ETFs bring to the fixed-income asset market through smaller trading increments, greater liquidity, and the ability to buy on margin and sell short. The second essay concludes that market, bond-specific, and firm-specific risk factors can help to explain the variation in U.S. bond ETF average returns, but only size seems to be priced in the cross-section of expected returns. This is not surprising as the sample used in the asset pricing tests is limited to the period 2007-2010, which corresponds to the "great recession", and size has been interpreted in the asset pricing literature as a state variable that proxies for financial distress and is highly dependent on the phase of the real business cycle., The two essays together suggest that bond ETFs can be used in trading strategies based on taking long and short positions in fixed-income assets, especially when trading in portfolios of fixed-income assets directly is not feasible.
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Date Issued
2011
PURL
http://purl.flvc.org/FAU/3175017
Subject Headings
Exchange traded funds, Portfolio management, Hedge funds, Stock index futures
Format
Document (PDF)
Essays on investing
Title
Essays on investing.
Creator
Johnson, William Fount III, College of Business, Department of Finance
Abstract/Description
The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the...
Show moreThe Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent.
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Date Issued
2011
PURL
http://purl.flvc.org/FAU/3183131
Subject Headings
Investment analysis, Stock options, Portfolio management, Finance, Personal, Asset allocation, Assets (Accounting), Prices, Forecasting, Econometric models
Format
Document (PDF)
Earnings management around IPO lockup expiration and the role of auditors
Title
Earnings management around IPO lockup expiration and the role of auditors.
Creator
Hao, Lizhong., College of Business, School of Accounting
Abstract/Description
I examine the presence of earnings management at pre-IPO and lockup periods. Motivated by significant post-lockup insider sales documented in prior research, I investigate whether insiders (managers and venture capitalists) inflate earnings around the lockup period in order to increase share price and maximize personal wealth from selling shares at lockup expiration. I also compare levels of earnings management in the pre-IPO and lockup periods with those in the post-lockup period. Prior...
Show moreI examine the presence of earnings management at pre-IPO and lockup periods. Motivated by significant post-lockup insider sales documented in prior research, I investigate whether insiders (managers and venture capitalists) inflate earnings around the lockup period in order to increase share price and maximize personal wealth from selling shares at lockup expiration. I also compare levels of earnings management in the pre-IPO and lockup periods with those in the post-lockup period. Prior research also documents that auditor quality mitigates earnings management behavior. I explore the impact of auditor quality in the unique setting of IPO lockups. ... Cross-sectional analysis reveals that my sample IPO firms also utilize real-activities manipulation, but only in the early pre-IPO period. The results are robust with respect to alternative abnormal accruals and real-activities measures. I also find that IPO firms that hire prestigious auditors experience less earnings management in the lockup period than firms with lower-quality auditors, after controlling for the monitoring role of venture capitalist and underwriter reputation.
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Date Issued
2013
PURL
http://purl.flvc.org/fcla/dt/3362378
Subject Headings
Going public (Securities), Business forecasting, Organizational effectiveness, Investment analysis, Portfolio management
Format
Document (PDF)
Governance and earnings management surrounding dividend initiation
Title
Governance and earnings management surrounding dividend initiation.
Creator
Smith, Deborah Drummond., College of Business, Department of Finance
Abstract/Description
Essay I: Governance surrounding dividend initiation. According to the free cash flow hypothesis, managers prefer to invest surplus cash, even in value reducing projects, rather than release it to shareholders. Yet, previous studies of dividend payout conclude that managers pay more in dividends when they are entrenched, supporting the substitute model... The results indicate that initiating firms have stronger shareholder rights, in contrast with much of the prior research on continuous...
Show moreEssay I: Governance surrounding dividend initiation. According to the free cash flow hypothesis, managers prefer to invest surplus cash, even in value reducing projects, rather than release it to shareholders. Yet, previous studies of dividend payout conclude that managers pay more in dividends when they are entrenched, supporting the substitute model... The results indicate that initiating firms have stronger shareholder rights, in contrast with much of the prior research on continuous divident payout. Firms with lower entrenchment index are more likely to initiate dividends... Essay II: Earnings management surrounding dividend initiation. Prior research tests earnings management surrounding changes in dividend payout and researchers conclude that the earnings management is a means of amplifying the dividend signal to the market. However, dividend initiation is a unique event. If initiation represents signaling, similar to a dividend increase, then management will manage earnings upward. If, on the other hand, divident initiation is better explained by the free cash flow hypothesis, then initiation may be entered into with caution or reluctance by management.
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Date Issued
2012
PURL
http://purl.flvc.org/fcla/dt/3362041
Subject Headings
Investment analysis, Portfolio management, Dividends, Econometric models
Format
Document (PDF)
Three essays on the impact of analyst recommendations in the banking industry
Title
Three essays on the impact of analyst recommendations in the banking industry.
Creator
Premti, Arjan, Madura, Jeff, Florida Atlantic University, College of Business, Department of Finance
Abstract/Description
By analyzing the information provided by analyst recommendations in the banking industry, I find that analyst recommendations trigger an immediate impact on the value of banks (Essay 1), they profitably guide the investment decisions of investors for periods of up to three months (Essay 2), and they also have an immediate impact on the values of rival banks (Essay 3). In addition, I find that analysts’ ability to provide new information depends on the information environment of the bank. The...
Show moreBy analyzing the information provided by analyst recommendations in the banking industry, I find that analyst recommendations trigger an immediate impact on the value of banks (Essay 1), they profitably guide the investment decisions of investors for periods of up to three months (Essay 2), and they also have an immediate impact on the values of rival banks (Essay 3). In addition, I find that analysts’ ability to provide new information depends on the information environment of the bank. The degree of information asymmetry, the degree of complexity, the risk of the bank, the risk of the time period, as well as regulatory reforms that affect these characteristics, have a significant impact on the analyst’s ability to provide new information to the investors. Specifically, I find that analyst recommendations are more informative when banks suffer from a high degree of information asymmetry. In addition, regulatory reforms that reduced the information asymmetry of the banking industry also diminished the analyst’s ability to provide new information. Similarly, I find that analyst recommendations have a greater impact on the values of the rated and the rival banks when these banks operate in a risky environment. This result is robust to several measures of bank risk, period risk, and regulatory events that affected the risk of the banking industry. However, the results of Essay 2 show that positive recommendations that occur during riskier periods or after regulatory events that increased the risk of the banking industry result in lower value for the investors over the following 1-month or 3- month periods. Lastly, I find that as banks become more complex, analyst recommendations have a smaller immediate impact on the value of the bank, deliver a smaller investment value for the investors, and also have a smaller immediate impact on the value of the rival banks.
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Date Issued
2014
PURL
http://purl.flvc.org/fau/fd/FA00004151, http://purl.flvc.org/fau/fd/FA00004151
Subject Headings
Financial engineering, Investment analysis, Portfolio management, Risk management
Format
Document (PDF)
effect of income-increasing earnings management on analysts' responses
Title
The effect of income-increasing earnings management on analysts' responses.
Creator
Sankara, Jomo., College of Business, School of Accounting
Abstract/Description
As a consequence of financial analysts' joint role as information intermediaries and firm monitors, I investigate analysts' responses to opportunistic corporate earnings management as firm mispricing increases. While firms' management have capital markets and executive equity incentives to manage earnings, financial analysts have trading volume, investment banking, and management information incentives which result in analysts' optimism bias. However, prior research also finds that analysts...
Show moreAs a consequence of financial analysts' joint role as information intermediaries and firm monitors, I investigate analysts' responses to opportunistic corporate earnings management as firm mispricing increases. While firms' management have capital markets and executive equity incentives to manage earnings, financial analysts have trading volume, investment banking, and management information incentives which result in analysts' optimism bias. However, prior research also finds that analysts have reputational incentives, which motivate them to provide accurate and profitable outlooks. Using a generalized linear model (GLM), I estimate analysts' stock recommendation (price targets) responses for earnings management firms. I use the residual income model to compute fundamental value and I add proxies for earnings management to my analyst-responses models.... The main implications of my findings are that analysts use corporate earnings management and firm fundamental value in their stock recommendations (price targets) responses. In addition, my results provide evidence that, after controlling for earnings quality, analysts' stock recommendations (price targets) are consistent with strategies based on residual income models. These findings will be of interest to shareholders, regulators, and researchers as well as to finance and accounting practitioners.
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Date Issued
2012
PURL
http://purl.flvc.org/FAU/3355872
Subject Headings
Investment analysis, Portfolio management, Earnings per share, Accounting, Financial statements, Corporations, Finance
Format
Document (PDF)
Managerial incentives and auditor pricing
Title
Managerial incentives and auditor pricing: do auditors price risk from CEO incentives?.
Creator
Kannan, Yezen H., Florida Atlantic University, College of Business, School of Accounting
Abstract/Description
I investigate whether and how auditors address the potential risk of CEO incentive pay and CEO incentives from their equity portfolio as an incentive to commit fraud through their pricing decisions. Using an OLS regression model I find that auditors price CEO incentive pay in the post SOX period. Also, auditors price CEOs' non-linear incentives from their holdings of stock options as a fraud risk factor but do not price linear incentives from CEO holding of stock and restricted stock....
Show moreI investigate whether and how auditors address the potential risk of CEO incentive pay and CEO incentives from their equity portfolio as an incentive to commit fraud through their pricing decisions. Using an OLS regression model I find that auditors price CEO incentive pay in the post SOX period. Also, auditors price CEOs' non-linear incentives from their holdings of stock options as a fraud risk factor but do not price linear incentives from CEO holding of stock and restricted stock. Furthermore, auditors consider CEO incentives to manipulate firm performance due to the vested portion of option holdings as a fraud risk factor which is priced, and not the unvested portion of this portfolio. Furthermore, I find evidence to suggest that auditors price CEO opportunity to commit fraud, as well as CEO rationalizing the act of committing fraud, therefore concluding that auditors price all components of the fraud triangle.
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Date Issued
2009
PURL
http://purl.flvc.org/FAU/210448
Subject Headings
Portfolio management, Incentive awards, Compensation management, Financial services industry, Corrupt practices
Format
Document (PDF)
EXAMINATION OF PORTFOLIO PERFORMANCE USING DIFFERENT TRADING RULES
Title
EXAMINATION OF PORTFOLIO PERFORMANCE USING DIFFERENT TRADING RULES.
Creator
HENNIGS, GABRIEL PEREZ., Florida Atlantic University, Redman, Milton, College of Business, Department of Economics
Abstract/Description
This thesis uses a fundamentalist approach to portfolio selection similar to that proposed by Benjamin Graham. The purpose is to examine the existence of undervalued securities and to test a methodology designed to identify those that could be considered superior investments. The model designed to select, combine and evaluate performance on risk adjusted basis takes into consideration fundamental principles of modern portfolio theory. Specifically, this analysis evaluates the informational...
Show moreThis thesis uses a fundamentalist approach to portfolio selection similar to that proposed by Benjamin Graham. The purpose is to examine the existence of undervalued securities and to test a methodology designed to identify those that could be considered superior investments. The model designed to select, combine and evaluate performance on risk adjusted basis takes into consideration fundamental principles of modern portfolio theory. Specifically, this analysis evaluates the informational contribution of price earnings ratios, earnings growth and dividend payments. The hypothesis tested is that undervalued securities selected under the conditions here proposed can produce performance results consistently superior than those of a strategy based on passively holding a market portfolio.
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Date Issued
1984
PURL
http://purl.flvc.org/fcla/dt/14228
Subject Headings
Portfolio management, Investment analysis
Format
Document (PDF)